Stochastic Analysis of Mixed Fractional Gaussian Processes

We will present the main tools to characterize Gaussian processes. We will focus on the particular case of linear combination of independent fractional and sub-fractional Brownian motions with different Hurst indices, because of their applications in many fields which include, but are not restricted to, financial mathematics. We consider stochastic integration with respect to these processes, and we study some existence and uniqueness problems of solutions of related SDE's. We also present some applications in finance and statistics, and each chapter is supplied with a certain number of exercises providing a better understanding of the subject. In general there has been no systematic description, on the level of book's, of mixed fractional and sub-fractional Brownian motionsEven more, there has been no stochastic analysis of such models, and moreover there has been no accessible description for these processes for Master's and Phd studentsThis book fills in this gap INDICE: 1. Gaussian processes2. Fractional Brownian motion3. Mixed and sub-mixed fractional Brownian motions4. Stochastic integration w.r.t. mixed fractional Gaussian processes5. Stochastic differential equations driven by mixed fractional Gaussian processes

• ISBN: 978-1-78548-245-8
• Editorial: ISTE Press - Elsevier
• Encuadernacion: Cartoné
• Páginas: 200
• Fecha Publicación: 01/05/2018
• Nº Volúmenes: 1
• Idioma: Inglés